It really depends on the outstation and agent. The last time I could not but this was most probably due to the outstation which did not have complete access to the system used by A3, so no modification in the baggage information could be done.
In the end I picked it up in ATH and rechecked it in ATH. For me it was fast as I was coming in from intra-Schengen, so no passport control. I would say if you have min 2 hours to spare between flights I don't expect this to be a problem and especially if you have access to the J check-in counter.

Cheers!